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  • Search: subject:"concurrence of extreme values"
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Subject
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Cointegration 1 Extreme Value Theory 1 concurrence of extreme values 1 financial market 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Hlavacek, Michal 1 Kadlcakova, Narcisa 1 Komarek, Lubos 1 Komarkova, Zlatuse 1
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Česká Národní Banka 1
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Working Papers / Česká Národní Banka 1
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RePEc 1
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Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory
Kadlcakova, Narcisa; Komarek, Lubos; Komarkova, Zlatuse; … - Česká Národní Banka - 2013
This paper examines the potential for concurrence of crises in the foreign exchange, stock, and government bond markets as well as identifying asset price misalignments from equilibrium for three Central European countries and the euro area. Concurrence is understood as the joint occurrence of...
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